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A note on the Malliavin-Sobolev spaces

Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony (2016), A note on the Malliavin-Sobolev spaces, Statistics & Probability Letters, 109, p. 45-53. 10.1016/j.spl.2015.08.020

Type
Article accepté pour publication ou publié
External document link
https://arxiv.org/abs/1501.01777v1
Date
2016
Journal name
Statistics & Probability Letters
Volume
109
Publisher
Elsevier
Published in
Paris
Pages
45-53
Publication identifier
10.1016/j.spl.2015.08.020
Metadata
Show full item record
Author(s)
Imkeller, Peter
Mastrolia, Thibaut
Possamaï, Dylan
Réveillac, Anthony
Abstract (EN)
In this paper, we provide a strong formulation of the stochastic Gâteaux differentiability in order to study the sharpness of a new characterization, introduced in [6], of the Malliavin-Sobolev spaces. We also give a new internal structure of these spaces in the sense of sets inclusion.
Subjects / Keywords
Malliavin calculus; Wiener space; functional analysis; stochastic Gâteaux differentiability

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